Critical System Updates

MDP 3.0 Migration Schedule

On Sunday, December 7, 2014, CME Group completed the launch of Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information.

Currently, both FIX/FAST and MDP 3.0 are considered to be "Feeds of Record." In case of market data failures, markets may be halted for either FIX/FAST or MDP 3.0 issues. CME Group will review each event individually to determine the best response.

In September 2015, MDP 3.0 will become the sole "Feed of Record" and markets will be halted for MDP 3.0 issues only. After this date, markets will not be halted for only FIX/FAST issues.

CME Group recommends all customers certify for and migrate to MDP 3.0 by September 2015 as the legacy FIX FAST feed will be eliminated in October 2015.

Important Dates

MDP 3.0 Sole Feed of Record – All Channels

September 2015

All FIX/FAST Channels Decommissioned

October 2015

Please Note: There will be no surcharges assessed to customers due to the extended decommission window.

The schedule for implementation of the MDP 3.0 format for the Order Routing Partner Exchanges, BM&FBOVESPA and MexDer (Mercado Mexicano de Derivados) is as follows:

Environment

BVMF

MexDer

New Release

July 2015

August 2015

AutoCert+ Test Suite Available

August 2015

September 2015

Production Parallel

August 2015

September 2015

Please Note: AutoCert+ Certification of the MDP 3.0 and Order Routing Partner Exchange (BVMF and MexDer) Test Suites are mandatory prior to receiving Market Data for each Order Routing Partner Exchange.

TAS Pre-Validation

Currently, order entry will be permitted in TAS (Trade at Settlement) markets as soon as the Pre-Open state message is published, regardless of whether it is received first via the FIX/FAST or MDP 3.0 feeds. As of the MDP 3.0 Feed of Record date, only the publishing of the MDP 3.0 Pre-Open state message will be valid for the start of the TAS market and TAS orders can be entered. The CME Group Market Regulation rules for TAS Transactions can be found here.

Trade Summary Message: Order Detail Level Processing

Enhanced Trade Summary Order Detail Level Processing specifications are now available here. CME Group strongly encourages client systems to support the dissemination of Trade Summary Order Details. Leveraging the Order Detail information provides a more granular view into trade events, access to fill information (for customers that opt to include their iLink order ID in the MDP 3.0 messages), and supports Time and Sales and charting applications.

BVMF via MDP 3.0 is currently available in New Release for customer testing. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex Notices.

MexDer Market Data via MDP 3.0

Effective Monday, September 14, CME Group is introducing Market Data Platform (MDP) 3.0 for MexDer (Mercado Mexicano de Derivados). The new protocol will be available on new production parallel channels.

MexDer MDP 3.0 will support:

CME Globex Market Data MDP 3.0 format

Event-driven market price and trade information

Enhanced market state dissemination

Increased timestamp granularity

Opt-In functionality for Order identifier on both market data and order entry messages

MexDer via MDP 3.0 will be available in New Release for customer testing on Wednesday, September 2. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex Notices.

A new MexDer MDP 3.0 certification suite will be available in AutoCert+ on Sunday, September 14. Customer systems receiving MDP 3.0 market data for MexDer must complete this mandatory certification.

Please contact your Global Account Manager with any questions or concerns at +1 312 634 8700, in Europe at + 44 20 33793754 or in Asia at +65 6593 5505 for additional information.

AutoCert+ MDP 3.0 Partner Exchange Supplemental Test Suite

Effective this Sunday, August 16, CME Group will introduce the new Autocert+ MDP 3.0 Partner Exchange Supplemental test suite. The new certification test suite will improve the customer certification experience by streamlining the certification process across multiple partner exchanges.

Update - Drop Copy 4.0 Implementation

†Denotes update to the article

On Sunday, August 23 (trade date Monday, August 24), CME Group will introduce a new Drop Copy implementation to provide further consistency across iLink and Drop Copy. The new Drop Copy 4.0 implementation will have both functional and messaging changes.A customer mock session will be offered on Saturday, August 22:

Drop Copy 4.0 convenience target sessions for the production environment will be available to certified customers starting Monday, August 17. Customers should contact their account managers to request the new sessions.

†Certification is mandatory for all Drop Copy customers and is a prerequisite for access to Drop Copy Convenience Gateways and Market Segment Gateway target sessions.

†Executing firms planning to leverage market segment gateway iLink sessions should follow up with their Clearing firms to confirm their readiness to support Drop Copy 4.0.

†Drop Copy 4.0 is not backward compatible and customer systems not certified for Drop Copy 4.0 will not have the ability to add MSGW sessions to their Drop Copy Group.

In the event of a Drop Copy 4.0 failover, upon logon to the new primary connection, customer systems will experience a significant increase in sequence numbers (tag 34-MsgSeqNum) on inbound messages from CME Globex to Client System. CME Group recommends that client systems request all missing messages. On Monday, August 3, the new Drop Copy 4.0 failover tests will be available in AutoCert+ for customer certification.

New Release availability and customer testing windows will be announced in future CME Globex Notices.

Additional Information

To facilitate migration to the new Drop Copy service, CME Group will support a parallel feed. Traffic from Convenience Gateway source sessions will be available via their current Drop Copy IPs and ports and via the new Drop Copy 4.0 IPs and ports. Certification is required for production access to Drop Copy 4.0. Please coordinate your migration with your CME Group Account Manager.

The Drop Copy 4.0 source ranges on the CME Globex WAN extranet are now available online.

Certification and New Release Drop Copy sessions will be re-issued by your to Global Account Manager upon customer request.

Drop Copy 4.0 is available in New Release for customer testing. A new Drop Copy 4.0 certification suite is available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.

The CFFEX is a futures exchange established in Shanghai with the approval of the State Council and the authorization of the China Securities Regulatory Commission (CSRC). CFFEX products include Index futures and Government Bond futures. These products are being made available to authorized and licensed customers of the CFFEX for dissemination through the CME Market Data Platform (MDP); however they are not available for trading on CME Globex.

The Frequently Asked Questions (FAQ) and Onboarding Reference Guide are available online.

Velocity Logic

Starting Sunday, September 27 (trade date Monday, September 28), CME Group will introduce enhancements to the Velocity Logic functionality. Velocity Logic is designed to deter extreme market moves by detecting market movements of a predefined number of points within a predefined time period and reserve the market(s) when triggered. Velocity Logic is only triggered by movement in CME Globex futures and future spreads markets for which the functionality is enabled.

With this enhancement, in the event that a Fill and Kill, Minimum Quantity or Market Order were to trigger Velocity Logic, the following actions would occur. The order would be acknowledged, then CME Globex would cancel (tag 35-MsgType=8, tag 39-OrdStatus=4) the order in the case of a Market order or eliminate the order (tag 35-MsgType=8, tag 39-OrdStatus=C) in the case of Fill and Kill, and Minimum Quantity orders. The market will remain open.

AutoCert+ SMART Click Integration

In September 2015, all AutoCert+ access will migrate to SMART Click. The migration has been designed to minimize customer impacts; users will associate their legacy entitlements to their SMART Click ID and connect via a new URL. Complete information on the migration will be published in upcoming CME Globex Notices.

SMART Click is a self-managed, centralized user profile service that authenticates access to CME Group applications and services. Benefits of SMART Click include:

A single User ID and password to access CME Group services and applications;

One User ID to access multiple firms;

User-owned IDs, regardless of changes to employers or firm relationships;

Secure access using 2-factor authentication;

Users now also have the option of using SMART Click to access AutoCert+. Some additional steps are required for these users only:

New - Minimum Quantity Changes for NYMEX and COMEX Covered Options

Effective Sunday, September 20 (trade date Monday, September 21), CME Group will make changes to the minimum quantity value in the Security Definition (tag 35-MsgType=d) message on the NYMEX and COMEX options market.

Tag1300-MarketSegmentID

Market Segment

56

NYMEX Energy and COMEX Options

CME Globex will reject orders and mass quotes with quantities violating the minimum quantity value in tag 526-MinTradeVol for NYMEX and COMEX options strategies. There are no changes to the current functionality.

The following new error codes have been introduced with these changes.

Error Code

Tag 58-Text

Sent in response to New Order (tag 35-MsgType=D)and
Cancel Replace (tag 35-MsgType=G) messages in tag 103-OrdRejReason of the Execution Report (tag 35-MsgType=8)

Text explanation of error code

2115

Order quantity is outside of the allowable range'Quantity: <Requested Quantity> Max: <Maximum configured for contract> Min: <Minimum configured for contract>’

Update - New iLink Architecture

Starting †Sunday, November 1, CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways (MSGWs) throughout the iLink infrastructure, to provide:

FIFO ordered message handling per market segment, and

Elimination of variability associated with multiple sessions across multiple gateways.

† The Phase 2 launch will allow customers to access the Market Segment Gateways directly and introduce a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

† Prior to the Phase 2 launch, CME Group will begin MSGW Phase 2 Pre-launch to implement the new MSGWs into the iLink architecture between the trading engines and the current iLink gateways (CGWs).

Please note: Customers will not be able to connect directly to the MSGWs until the Phase 2 launch.

† The MSGW Phase 2 Pre-Launch and the Phase 2 launch will be phased in as follows:

†New iLink Architecture Production Launch

Tag1300-MarketSegmentID

Market Segment

MSGW Phase 2 Pre-Launch Schedule

MSGW Phase 2 Launch Schedule

52

CME FX options

September 20

November 01

62

CME FX futures

September 20

November 01

60

CBOT Commodity and Equity options

October 04

November 15

70

CME Commodity futures

October 04

November 15

72

CBOT Commodity futures

October 04

November 15

54

CME Equity options

October 11

December 06

64

CME E-mini S&P 500 futures

October 11

December 06

66

CBOT Equity futures

October 11

December 06

68

CME Equity futures excluding E-mini S&P

October 11

December 06

50

CME Eurodollar options

November 08

December 13

58

CBOT Treasury options

November 08

December 13

82

CME Eurodollar futures

November 08

December 13

84

CBOT Treasury futures

November 08

December 13

56

NYMEX and COMEX options

December 20

January 10

74

Hosted Partner Exchange markets and NYMEX Emissions futures

December 20

January 10

76

NYMEX and COMEX Metals and Alternative Market futures

December 20

January 10

78

NYMEX Non-Crude Energy futures

December 20

January 10

80

NYMEX Crude Energy futures

December 20

January 10

86

CME Europe futures and options

December 20

January 10

† CME Group will offer several customer mock trading sessions to ensure customers have opportunities to interact with the system prior to the new iLink Architecture Phase 2 Pre-Launch and the Phase 2 launch. There are 2 models of customer mocks:

† MSGW Phase 2 Pre-Launch mock trading sessions scheduled on:

September 19

† MSGW Phase 2 mock trading sessions scheduled on:

September 26

October 10

October 31

November 14

December 5

December 12

January 9

Additional details and an overview to Mock Trading Sessions will be published in future Globex Notices.

A new MSGW certification suite will be available in AutoCert+ in Summer 2015. Customer systems who want to connect directly to the MSGW must complete this mandatory certification.

New iLink Failover Process

†Denotes update to the article

Starting †Sunday, September 20, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure. This new iLink Failover Process change will affect all iLink sessions.

When the Market Segment Gateway (MSGW) fails over from the primary to backup instance, customer iLink messages will be rejected with Session Level Reject (tag 35=3) messages including tag 58=Technical Error - Market Segment: is not available at this time.

In addition to the new reject message, a new Technical Pause will be introduced to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex. During the MSGW failover, CME Globex will transition all product groups on that market segment into a Technical Pause and then Technical Pre-Open. The MDP Security Status (tag 35-MsgType=f) message is generated with tag 327-HaltReason=6 (Recovery in process) to notify the market of these states. After the market transitions to pre-open, order entry will be allowed as usual.

The new iLink failover process is currently available for customer testing in New Release.

Detailed information including these failover behavior changes and customer New Release testing window are now available online.

The Treasury Tail UDS has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread's legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6). The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it's the deferred month. Leg 1's price and quantity will be based on the order entry values and leg 2's quantity will be calculated at the time of the match by multiplying the order quantity times the tail delta and applying the price associated with the contract as supplied by the customer when the strategy is created. The Tail spreads will utilize the Covereds repeating group to define leg 2's quantity at execution, as outlined below, and use the new Strategy Code tag 762=TL in MDP 3.0 messaging. All other messaging and functionality aligns with current CME Globex UDS.

The TL spreads will expire at the close on the day of creation. Good till Cancel (GTC) and Good till Date (GTD) orders will be rejected.

Spread construct: Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125

Security Definition Request and Security Definition messages

762=COMBO

Leg 1

620=ZFZ5-ZFH6

Leg 2

620=ZFZ5

566=118.078125

1017=0.2

Please note: only TL spreads will be allowed in these products. Any Security Definition Requests with legs that do not meet the Tail Spreads definition will be rejected. Eligible products include instruments in the following tag 6937-Asset:

ZT

Z3

ZF

ZN

ZU

ZB

Customers can also use CME Direct to create and trade these TL spreads at launch.

The Tail UDS is available in New Release for customer testing. Technical certification is not required.

iLink Enhancement for Mass Order Status Functionality

Effective Sunday, August 30 (trade date Monday, August 31), Mass Order Status functionality will be enhanced to support retrieving status on all working orders for a particular market segment (tag 1300-MarketSegmentID). Currently, Mass Order Status can be used at the instrument, group or platform level.

A new value for Tag 585-MassStatusReqType=100 on the Order Mass Status Request (tag 35-MsgType=AF) message can be used to obtain statuses for all working orders on a particular market segment.

With this launch, tag 1300-MarketSegmentID will also be added to the Order Mass Status Request (tag 35-MsgType=AF) message to specify the market segment for the products customers want to retrieve mass order status. Tag 1300 should be used in combination with tag 585=100.

Product Launches

Natural Gas User-Defined Spreads Enhancements

Effective this Sunday, August 16 (trade date Monday, August 17), CME Group is launching an enhancement to User-Defined Spreads (UDS) functionality to support the Henry Hub Natural Gas complex on CME Globex. With this launch, customers will be able to create and trade spreads between American- and European-style options.

There will be no change to the messaging specifications or templates with this launch.

To support this new functionality, effective this Sunday, August 9, the European-style and Weekly European-style options will be moved to the new LG instrument group (MDP 3.0 tag 6937; iLink tag 1151).

Natural Gas User-Defined Spreads Enhancements

Expiration on Style

iLink: tag 1151-Security Group
MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group

Tag 762-SecuritySubType

Tag 969-MinPriceIncrementAmount

Tag 9787-DisplayFactor

Notional Value

American-style

ON

ON

--

1

0.001

10,000 MMBtu

Weekly American-style

ON1-ON5

ON

--

1

0.001

10,000 MMBtu

European-style

LNE

LG

--

10

0.0001

10,000 MMBtu

Weekly European-style

LN1-LN5

LG

--

10

0.0001

10,000 MMBtu

User-Defined Spread

First leg of the spread

1T

GN
CV

1

0.001

10,000 MMBtu

The instrument group changes are currently available for testing in New Release.

LLS APOs

Effective Sunday, September 13 (trade date Monday, September 14), the following LLS Average Price options (APOs) will be listed for trading on CME Globex, open outcry, and clearing submission via CME ClearPort.

LLS APOs

Product

iLink: tag 1151-Security Group
MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group (Outrights)

iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group (UDS)

LLS (Argus) vs. WTI Crude Oil Average Price Option

WJO

EF

EX

LLS (Argus) vs. Brent Crude Oil Average Price Option

LRO

EF

EX

LLS (Argus) Crude Oil Average Price Option

XAO

EF

EX

These options will be available in New Release for customer testing on Monday, August 31.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Monthly-to-Daily Conversion for Power Futures: Part 3

Effective Sunday, August 23 (trade date Monday, August 24), the last trade date (LTD) rules for the following monthly electricity futures will be modified. With this change, positions in the monthly contracts will terminate trading prior to the start of the contract month and positions in the monthly contracts will automatically convert into a strip of corresponding daily contracts. Currently, the last day of trading for these monthly cash-settled contracts is the last business day of the contract month.

Effective Sunday, August 30 (trade date Monday, August 31), the minimum price increment for the following CME Bundle futures calendar spreads will be changed from 0.0025 to 0.0005. With this change, tag 969-MinPriceIncrement will be modified as follows:

Order Routing and Front-End Audit Trail Requirements

As previously announced in the Market Regulation Advisory Notice RA1509-5, all firms must comply with the new Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) by April 1, 2016. All new, and currently certified, iLink order routing applications must certify or recertify their trading systems to ensure full compliance with the new audit trail requirements.

Important changes to the Order Routing and Front-End Audit Trail Requirements:

Market Regulation will now require the Audit Trail for certifications and annual exams to be submitted in CSV or Excel file format with specific column order as outlined in the Minimum Acceptable Audit Trail Elements.

The new specifications of the audit trail file provides details for each column on data requirements for tier 1 and tier 2 components

Clarification of how to represent market maker functionality at the quote entry level as well as how to properly represent Request for Cross (RFC) and Request for Quote (RFQ)s.

Additional iLink messages are now in scope of the audit trail:

Session Level Reject (tag 35-MsgType=3)

Business Level Reject (tag 35-MsgType=j)

Order Mass Action Request (tag 35-MsgType=CA)

Order Mass Action Report (tag 35-MsgType=BZ)

For improved representation of the information exchanged between trading systems and CME Globex, 17 data points have been added and 16 data points have been removed from the audit trail specifications.

The new 2016 specifications simplify data capture by removing requirements to capture data from other interfaces than iLink, including market data and post-trade system interfaces.

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Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.